The ground level entrances are set, but the dungeons themselves are randomly generated.
Did you run around methodically searching with the mouse? Usually you can still see a bit of blue on the map even if the entrance is mostly hidden behind a wall, but sometimes you can not.
Occasionally the entrance can be a pile of rocks, rather than the usual fountain thingy.
Rarely part of a level can be separated from the rest, which could contain the entrance to the next level. Check your map, and see if it looks like there may be more to the level than you have explored.